Cristiano Ronaldo hit a hat-trick and Gareth Bale grabbed a brace as Sevilla were put to the sword on Wednesday, and Emery admits his side's defensive frailties need addressing as a matter of urgency.
Sevilla have now conceded 24 goals in just 11 league games and Emery said ahead of the home game with Celta Vigo on Saturday: "The important thing is to lift ourselves up and focus on Saturday's game.
"Will we analyse the Madrid game, what we did well and what we did wrong, but the overriding negative is the fact we conceded seven goals.
"With that in mind, from now on we'll keep working, with the Celta game on our minds as our next stop.
"We're conceding a lot of goals, a lot more than we'd like to.
"The goals we score, even though we are the third biggest scorers in the league, don't compensate for that.
"We have to improve in that area, whilst not losing any of our attacking strength."
Stephane Mbia is free to play against Celta despite being sent off against Madrid, as the Spanish Football Federation's Competition Committee, which analyses appeals against suspensions, is unable to meet before the weekend due to a national holiday.
Celta striker Charles Dias believes there are reasons to be optimistic this season despite the fact his side are currently flirting with the bottom three.
The Galicians looked good in a 5-0 win at Malaga on October 26 but were brought back to earth with a bump in a 3-0 loss to Barcelona last time out.
In the wake of the defeat to the champions, the Brazilian told a press conference: "We have to look at the good things we did because we knew it was going to be a difficult game and it was.
"We gave a good showing of ourselves against one of the best teams in the world.
"We may be near the foot of the league, but we feel good about ourselves."